Related papers: General Optimal Stopping without Time Consistency
We study dynamic network flows with uncertain input data under a robust optimization perspective. In the dynamic maximum flow problem, the goal is to maximize the flow reaching the sink within a given time horizon $T$, while flow requires a…
In this paper we consider the iteratively regularized Gauss-Newton method for solving nonlinear ill-posed inverse problems. Under merely Lipschitz condition, we prove that this method together with an a posteriori stopping rule defines an…
Stably inverting a dynamic system model is the foundation of numerous servo designs. Existing inversion techniques have provided accurate model approximations that are often highly effective in feedforward controls. However, when the…
In the present work, sufficient conditions for global stabilization of nonlinear uncertain systems by means of discrete-delay static output feedback are presented. Illustrating examples show the efficiency of the proposed control strategy.
Infinitely repeated games can support cooperative outcomes that are not equilibria in the one-shot game. The idea is to make sure that any gains from deviating will be offset by retaliation in future rounds. However, this model of…
This paper addresses the problem of stabilization for infinite-dimensional systems. In particular, we design nonlinear stabilizers for both linear and nonlinear abstract systems. We focus on two classes of systems: the first class comprises…
We consider the problem of optimally stopping a Brownian bridge with an unknown pinning time so as to maximise the value of the process upon stopping. Adopting a Bayesian approach, we assume the stopper has a general continuous prior and is…
In this paper, we study the optimal stopping problem in the case where the reward is given by a family $(\phi(\tau ),\;\;\tau \in \stopo)$ of non negative random variables indexed by predictable stopping times. We treat the problem by means…
In this paper, we solve the time inconsistent portfolio selection problem by using different utility functions with a moving target as our constraint. We solve this problem by finding an equilibrium control under the given definition as our…
The purpose of this paper is two-fold: We extend the well-known relation between optimal stopping and randomized stopping of a given stochastic process to a situation where the available information flow is a filtration with no a priori…
This paper introduce the notion of output contraction that expands the contraction notion to the time-varying nonlinear systems with output. It pertains to the systems' property that any pair of outputs from the system converge to each…
General distribution steering is intrinsically an infinite-dimensional problem, when the continuous distributions to steer are arbitrary. We put forward a moment representation of the primal system for control in [42]. However, the system…
We consider stochastic optimal control of linear dynamical systems with additive non-Gaussian disturbance. We propose a novel, sampling-free approach, based on Fourier transformations and convex optimization, to cast the stochastic optimal…
We propose a novel dynamical framework for solving inclusion problems of the form \(0 \in F(x) + G(x)\) in Hilbert spaces, where \(F\) is a maximal set-valued operator and \(G\) is a single-valued mapping. The analysis is conducted under a…
In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuity of the optimal stopping value function and provide formula…
Feedback optimization has emerged as a promising approach for regulating dynamical systems to optimal steady states that are implicitly defined by underlying optimization problems. Despite their effectiveness, existing methods face two key…
A new pattern search method for bound constrained optimization is introduced. The proposed algorithm employs the coordinate directions, in a suitable way, with a nonmonotone line search for accepting the new iterate, without using…
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…
We describe a variational approach to solving optimal stopping problems for diffusion processes, as an alternative to the traditional approach based on the solution of the free-boundary problem. We study smooth pasting conditions from a…
In this paper we study the finite-horizon optimal covariance steering problem for a continuous-time linear stochastic system subject to both additive and multiplicative noise. The noise can be continuous or it may contain jumps. Additive…